Data

High-frequency order imbalance volatility data

We compute share imbalance as a proportion of shares outstanding over every five-minute interval of the trading day using the Lee and Ready (1991) algorithm. High-frequency order imbalance volatility (HFOIV ) is the standard deviation of the five-minute imbalance, computed over the trading day.

Current data (2002-2017):

Reference:

  • Bogousslavsky V., and P. Collin-Dufresne. “Liquidity, Volume, and Order Imbalance Volatility.” Journal of Finance, 2023, 78(4): 2189-2232.

Auction volume and price deviation data

The sample covers common stocks listed on the NYSE and Nasdaq with a price greater than USD 5 and a market capitalization greater than USD 100 million at the beginning of a month.

Current data (2010-2018):

  • Variables: share volume between 3:55pm and 4:00pm, share volume executed in the auction, auction price deviation
  • Link: Auction data

Reference:

  • Bogousslavsky V., and D. Muravyev. “Who Trades at the Close? Implications for Price Discovery and Liquidity.” Journal of Financial Markets, forthcoming.